本论文集由三篇关于公司金融和金融市场的文章组成。 / 第一篇文章主要探讨关于中国的控股股权的利益。通过研究1999到2006年的股权协议转让的数据，我发现控股股权相比于那些可比较的非控股股权存在显著溢价。平均值为24.97%溢价反映了控股股权的利益。回归分析发现，控股股权的利益和股权结构，公司特征以及制度环境有关。被收购对象的无形资产比例越高，控股股权的利益越少；发行了B股或者H股也会减少控股股权的利益；被私人公司收购的公司往往伴随着更高控股股权的利益。同时，控股股权的利益和非公有经济发展以及要素因子市场发展呈现负相关。进一步的研究表明，那些有较高控股股权的利益的公司往往伴随着更高的其他应收账款，关联交易额比例以及融资额比例，虽然影响不太显著。因此，我推断那些有更高控股股权的利益的公司可能更多地被其大股东侵占了利益。 / 第二篇文章主要研究关于中国股票市场上的“羊群效应“。通过应用Christie 和Huang (1995) 以及Chang (2000) 的模型，发现深圳和上海股票市场所没有“羊群效应“。 在子样本上的进一步分析发现，在2007股市泡沫期间和2008全球金融危机期间也没有“羊群效应“。最后，我使用分位数回归方法，来解决“羊群效应是否对于股市收益分歧的分位数是否敏感的问题。结果表明，在收益分歧的各个分位数上，收益分歧始终随着市场收益率增加，再次证明没有“羊群效应“的存在。 / 第三篇主要分析关于芝加哥气候交易所碳排放的价格和波动性。分析表明，某些年份的碳排放期货收益率具有长期记忆效应，有些年份则没有。但是不同年份期货收益率波动性则全部具有很强的长期记忆效应。同时，我发现FIGARCH模型很好的描述了碳价格的波动特性并且估计出了长期记忆的参数。进一步验证了碳期货收益率具有长期记忆效应。这个结论表明碳排放期货市场还不是弱式有效的。 / This thesis consists of three essays on corporate finance and financial markets. The first essay investigates the private benefits of control in China. By analyzing block share transfers in China from 1999 to 2006, I find that the controlling blocks are usually priced at significant positive premiums compared with the non-controlling ones. The premiums, with a mean of 24.97%, reflect the private benefits of control in China. Cross-sectional regression analysis shows that the benefits of corporate control vary with ownership structure, firm characteristics and institutions. In particular, targets with high intangible asset ratios have less private benefits of control; cross-listing in the B or H share market reduces private benefits and companies acquired by private firms are associated with higher private benefits. Moreover, it is found that private benefits of control are negatively associated with the non-state economy and factor market development index. Finally, further analysis shows some evidence that other receivables, amount of connected transaction, and amount of financing increase moderately with private benefits. Hence, firms with higher value of private benefits are likely to experience more tunneling activities conducted by their controlling shareholders. / The second essay examines herd behavior in the Chinese stock market. Employing the cross-sectional standard deviation testing methodology proposed by Christie and Huang (1995), it is found that herd behavior does not exist in the Shanghai and Shenzhen stock markets. The empirical evidence based on Chang et al. (2000) suggests no evidence of herd behavior as well. I also investigate the herd behavior in the 2007 bubble period and 2008 global financial crisis period and no evidence of herding is documented. Finally, quantile regression is employed to test whether or not herd behavior is sensitive to different quantiles of return dispersion distributions. It is found that in the lower and upper tail of return dispersion distribution, return dispersion generally increases with market return movements, indicating that no herd behavior is observed. / The third essay studies the price movement and volatility of the carbon futures in Chicago Climate Exchange. Firstly, the long-term dependence of future returns and volatilities is investigated by employing the modified rescaled range (R/S) statistics. Most of the return series have long-term memory features and the evidence for long-term dependence in volatilities is pronounced for all series. Next, the Fractionally Integrated GARCH (FIGARCH) model is applied to investigate the volatility of return series and estimate the long memory parameters in return series. The estimated degrees of integration are significantly greater than zero but less the unity, which demonstrates the presence of an explicit long memory feature in return series. The results indicate that the market is not weak-form efficient. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Liu, Xiaojin. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese. / Abstract --- p.i / 摘要 --- p.iii / Table of Contents --- p.v / Chapter Chapter 1: --- The private benefits of control: evidence from China --- p.1 / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Related literature and institutional setting --- p.3 / Chapter 2.1 --- Related literature --- p.3 / Chapter 2.2 --- Background on the Chinese stock market --- p.6 / Chapter 3. --- Variable description --- p.7 / Chapter 3.1 --- Measuring private benefits of control --- p.7 / Chapter 3.2 --- Ownership structure --- p.10 / Chapter 3.3 --- Firm characteristics --- p.11 / Chapter 3.4 --- Institutions --- p.13 / Chapter 4. --- Sample description --- p.15 / Chapter 5. --- Main empirical results --- p.16 / Chapter 5.1 --- Testing significance of private benefits of control --- p.16 / Chapter 5.2 --- Ownership structure, firm characteristics, and private benefits of control --- p.17 / Chapter 5.3 --- Institutions and private benefits of control --- p.18 / Chapter 5.4. --- Further evidence of tunneling --- p.19 / Chapter 6. --- Conclusion --- p.20 / References --- p.22 / Tables --- p.25 / Appendix --- p.35 / Chapter Chapter 2: --- An empirical analysis of herd behavior in the Chinese stock market --- p.41 / Chapter 1. --- Introduction --- p.41 / Chapter 2. --- Methodology and data --- p.46 / Chapter 3. --- Empirical results --- p.49 / Chapter 3.1 --- Dummy regression --- p.49 / Chapter 3.2 --- Nonlinearity in return dispersions and market return --- p.51 / Chapter 3.3 --- Investigating herd behavior in subsamples: the 2007 bubble period and 2008 global financial crisis period --- p.52 / Chapter 4. --- Further analysis: a quantile regression approach --- p.53 / Chapter 5. --- Conclusion --- p.55 / References --- p.57 / Tables --- p.60 / Appendix --- p.71 / Chapter Chapter 3: --- Price movement and volatility of the carbon market: evidence from Chicago Climate Exchange --- p.74 / Chapter 1. --- Introduction --- p.74 / Chapter 2. --- Related literature and background on carbon futures in the Chicago Climate Exchange --- p.75 / Chapter 2.1 --- Related literature --- p.76 / Chapter 2.2 --- Background on Chicago Climate Exchange (CCX) --- p.79 / Chapter 3. --- Methodology and sample description --- p.80 / Chapter 3.1 --- Lo’s modified Rescaled Range (R/S) statistic --- p.80 / Chapter 3.2 --- The Fractionally Integrated GARCH (FIGARCH) model --- p.81 / Chapter 3.3 --- Sample description --- p.82 / Chapter 4. --- Empirical results --- p.82 / Chapter 4.1 --- Lo's modified R/S statistic test --- p.83 / Chapter 4.2 --- FIGARCH model --- p.84 / Chapter 5. --- Conclusion --- p.85 / References --- p.87 / Tables --- p.90 / Appendix --- p.95
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327976 |
| Date | January 2012 |
| Contributors | Liu, Xiaojin., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | electronic resource, electronic resource, remote, 1 online resource (vi, 98 leaves) : ill. (some col.) |
| Coverage | China, China |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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